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Initialization routines for ODE filters #490

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pnkraemer
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@pnkraemer pnkraemer commented Jul 17, 2021

In a Nutshell

This PR introduces an interface for initialization routines in ODE filters.

Detailed Description

See above. This PR also cleans up the tests for initialization routines and updates some docs. Taylor-mode AD code is cleaned up slightly.
The concept is very similar to what happens in #486, but since the content is sufficiently orthogonal, I made a new PR.

@pnkraemer pnkraemer added refactoring Refactoring of existing functionality diffeq Issues related to differential equations labels Jul 17, 2021
@pnkraemer pnkraemer added this to the Dagstuhl Workshop milestone Jul 17, 2021
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codecov bot commented Jul 17, 2021

Codecov Report

Merging #490 (d190fc9) into main (95df418) will increase coverage by 0.07%.
The diff coverage is 98.16%.

Impacted file tree graph

@@            Coverage Diff             @@
##             main     #490      +/-   ##
==========================================
+ Coverage   86.40%   86.48%   +0.07%     
==========================================
  Files         124      125       +1     
  Lines        5465     5489      +24     
  Branches      725      725              
==========================================
+ Hits         4722     4747      +25     
+ Misses        514      513       -1     
  Partials      229      229              
Impacted Files Coverage Δ
...filtsmooth/initialization_routines/_taylor_mode.py 95.00% <95.00%> (ø)
src/probnum/diffeq/_probsolve_ivp.py 100.00% <100.00%> (ø)
src/probnum/diffeq/odefiltsmooth/_ivpfiltsmooth.py 97.59% <100.00%> (+0.88%) ⬆️
.../odefiltsmooth/initialization_routines/__init__.py 100.00% <100.00%> (ø)
...initialization_routines/_initialization_routine.py 100.00% <100.00%> (ø)
...filtsmooth/initialization_routines/_runge_kutta.py 100.00% <100.00%> (ø)

@pnkraemer pnkraemer self-assigned this Jul 17, 2021
Comment on lines 96 to 98
def __call__(
self, ivp: problems.InitialValueProblem, prior_process: randprocs.MarkovProcess
) -> randvars.RandomVariable:
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please let me know if the changed naming (and some reordering) makes it easier to understand what this code does :)

@pnkraemer pnkraemer requested a review from nathanaelbosch July 17, 2021 14:27
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The PR looks good, I just found a single typo and otherwise I have nothing to complain. Thanks a lot!

@pnkraemer pnkraemer requested a review from nathanaelbosch July 19, 2021 10:20
@pnkraemer pnkraemer merged commit 8604e12 into probabilistic-numerics:main Jul 19, 2021
@pnkraemer pnkraemer deleted the odefiltsmooth_initialize branch July 19, 2021 10:23
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2 participants